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From: Daniel L. <dan...@gm...> - 2026-03-07 08:53:36
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Hi, I need to price a Bermudian type swaption which has multiple maturity dates (total number 5) however underlying swap is OIS, which has a fixed maturity date. I found some swaption examples, where underlying swap has only fixed maturity term, not fixed maturity date. Therefore in my case, at eah exercise date, underlying swap's maturity term is lesser. Can you please point if there any such quantlib implementation or example to price such swaption based on hull white model? |
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From: Peter C. <pca...@gm...> - 2026-03-07 18:45:33
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Hi Daniel, I don't think we have this variant of a Bermudan swaption in QuantLib. Best Peter On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote: > Hi, > > I need to price a Bermudian type swaption which has multiple maturity > dates (total number 5) however underlying swap is OIS, which has a > fixed maturity date. > > I found some swaption examples, where underlying swap has only fixed > maturity term, not fixed maturity date. Therefore in my case, at eah > exercise date, underlying swap's maturity term is lesser. > > Can you please point if there any such quantlib implementation or > example to price such swaption based on hull white model? > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > |
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From: Ioannis R. <qua...@de...> - 2026-03-08 17:24:51
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You can use the QuantLib type VanillaSwaption. It references an underlying ibor swap with a fixed maturity date. If you need an OIS underlying, you can use a custom ibor of which the tenor equals the period of the fixed leg of the OIS. On 3/7/2026 7:45 PM, Peter Caspers wrote: > Hi Daniel, > > I don't think we have this variant of a Bermudan swaption in QuantLib. > > Best > Peter > > > On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote: > > Hi, > > I need to price a Bermudian type swaption which has multiple maturity > dates (total number 5) however underlying swap is OIS, which has a > fixed maturity date. > > I found some swaption examples, where underlying swap has only fixed > maturity term, not fixed maturity date. Therefore in my case, at eah > exercise date, underlying swap's maturity term is lesser. > > Can you please point if there any such quantlib implementation or > example to price such swaption based on hull white model? > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users -- This email has been checked for viruses by Avast antivirus software. www.avast.com |
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From: Daniel L. <dan...@gm...> - 2026-03-08 11:54:20
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Hi Peter, Thanks for your response. Do you know if there is any online resource available to get guidance on this pricing and if QuantLib has any pipeline to implement this Instrument? BR, On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm...> wrote: > > Hi Daniel, > > I don't think we have this variant of a Bermudan swaption in QuantLib. > > Best > Peter > > > On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote: >> >> Hi, >> >> I need to price a Bermudian type swaption which has multiple maturity >> dates (total number 5) however underlying swap is OIS, which has a >> fixed maturity date. >> >> I found some swaption examples, where underlying swap has only fixed >> maturity term, not fixed maturity date. Therefore in my case, at eah >> exercise date, underlying swap's maturity term is lesser. >> >> Can you please point if there any such quantlib implementation or >> example to price such swaption based on hull white model? >> >> >> _______________________________________________ >> QuantLib-users mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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From: Rich A. <ric...@ma...> - 2026-03-08 17:44:43
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Hi Daniel, As Peter says, QuantLib doesn’t have a Bermudan swaption with an OIS underlying. However, you can use a VanillaSwap as a proxy for the underlying and price it with the existing Bermudan infrastructure. The existing QuantLib examples are actually the co-terminal case you need - a single swap with a fixed maturity date, with exercise dates at each fixed coupon accrual start. When exercised at a later date, only the remaining coupons contribute to the payoff, so the effective swap tenor is shorter while the maturity date stays the same. See Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward) and test-suite/bermudanswaption.cpp. The setup is: create a VanillaSwap with your fixed maturity date, build a BermudanExercise from the fixed leg accrual start dates (your 5 exercise dates), and price with FdHullWhiteSwaptionEngine. Under a one-factor Hull-White model with a single forwarding curve, this VanillaSwap proxy is exact - the compound of daily overnight forwards equals the period forward rate on the same curve, so VanillaSwap and OIS floating legs produce identical NPVs. References - Brigo & Mercurio, “Interest Rate Model — Theory and Practice” (Ch. 3 for HW model, tree-based pricing) - Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch. 31-32 for short-rate models and trinomial trees) I hope that helps! Best, Rich > On Mar 8, 2026, at 6:53 AM, Daniel Lobo <dan...@gm...> wrote: > > Hi Peter, > > Thanks for your response. > > Do you know if there is any online resource available to get guidance > on this pricing and if QuantLib has any pipeline to implement this > Instrument? > > BR, > > On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm...> wrote: >> >> Hi Daniel, >> >> I don't think we have this variant of a Bermudan swaption in QuantLib. >> >> Best >> Peter >> >> >> On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote: >>> >>> Hi, >>> >>> I need to price a Bermudian type swaption which has multiple maturity >>> dates (total number 5) however underlying swap is OIS, which has a >>> fixed maturity date. >>> >>> I found some swaption examples, where underlying swap has only fixed >>> maturity term, not fixed maturity date. Therefore in my case, at eah >>> exercise date, underlying swap's maturity term is lesser. >>> >>> Can you please point if there any such quantlib implementation or >>> example to price such swaption based on hull white model? >>> >>> >>> _______________________________________________ >>> QuantLib-users mailing list >>> Qua...@li... >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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From: Peter C. <pca...@gm...> - 2026-03-08 18:24:09
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Hi Rich and Daniel, Apologies, I misunderstood the trade terms - I thought we were talking about a swaption exercising into an underlying swap with constant maturity measured from the respective exercise date! Thanks for clarifying. Best Peter On Sun, 8 Mar 2026 at 18:25, Rich Amaya <ric...@ma...> wrote: > Hi Daniel, > > As Peter says, QuantLib doesn’t have a Bermudan swaption with an OIS > underlying. However, you can use a VanillaSwap as a proxy for the > underlying and price it with the existing Bermudan infrastructure. > > The existing QuantLib examples are actually the co-terminal case you need > - a single swap with a fixed maturity date, with exercise dates at each > fixed coupon accrual start. When exercised at a later date, only the > remaining coupons contribute to the payoff, so the effective swap tenor is > shorter while the maturity date stays the same. See > Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward) and > test-suite/bermudanswaption.cpp. > > The setup is: create a VanillaSwap with your fixed maturity date, build a > BermudanExercise from the fixed leg accrual start dates (your 5 exercise > dates), and price with FdHullWhiteSwaptionEngine. > > Under a one-factor Hull-White model with a single forwarding curve, this > VanillaSwap proxy is exact - the compound of daily overnight forwards > equals the period forward rate on the same curve, so VanillaSwap and OIS > floating legs produce identical NPVs. > > *References* > - Brigo & Mercurio, “Interest Rate Model — Theory and Practice” (Ch. 3 for > HW model, tree-based pricing) > - Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch. 31-32 for > short-rate models and trinomial trees) > > I hope that helps! > > Best, > Rich > > > On Mar 8, 2026, at 6:53 AM, Daniel Lobo <dan...@gm...> wrote: > > Hi Peter, > > Thanks for your response. > > Do you know if there is any online resource available to get guidance > on this pricing and if QuantLib has any pipeline to implement this > Instrument? > > BR, > > On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm...> wrote: > > > Hi Daniel, > > I don't think we have this variant of a Bermudan swaption in QuantLib. > > Best > Peter > > > On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm...> wrote: > > > Hi, > > I need to price a Bermudian type swaption which has multiple maturity > dates (total number 5) however underlying swap is OIS, which has a > fixed maturity date. > > I found some swaption examples, where underlying swap has only fixed > maturity term, not fixed maturity date. Therefore in my case, at eah > exercise date, underlying swap's maturity term is lesser. > > Can you please point if there any such quantlib implementation or > example to price such swaption based on hull white model? > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > |
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From: Rich A. <ric...@ma...> - 2026-03-09 03:56:41
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Hi Peter and Daniel, Thanks for the clarification Peter. I’ve opened a GitHub issue to track adding native OIS support to the FD Bermudan swaption engines. Best, Rich > On Mar 8, 2026, at 1:23 PM, Peter Caspers <pca...@gm...> wrote: > > Hi Rich and Daniel, > > Apologies, I misunderstood the trade terms - I thought we were talking about a swaption exercising into an underlying swap with constant maturity measured from the respective exercise date! > > Thanks for clarifying. > > Best > Peter > > On Sun, 8 Mar 2026 at 18:25, Rich Amaya <ric...@ma... <mailto:ric...@ma...>> wrote: >> Hi Daniel, >> >> As Peter says, QuantLib doesn’t have a Bermudan swaption with an OIS underlying. However, you can use a VanillaSwap as a proxy for the underlying and price it with the existing Bermudan infrastructure. >> >> The existing QuantLib examples are actually the co-terminal case you need - a single swap with a fixed maturity date, with exercise dates at each fixed coupon accrual start. When exercised at a later date, only the remaining coupons contribute to the payoff, so the effective swap tenor is shorter while the maturity date stays the same. See Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward) and test-suite/bermudanswaption.cpp. >> >> The setup is: create a VanillaSwap with your fixed maturity date, build a BermudanExercise from the fixed leg accrual start dates (your 5 exercise dates), and price with FdHullWhiteSwaptionEngine. >> >> Under a one-factor Hull-White model with a single forwarding curve, this VanillaSwap proxy is exact - the compound of daily overnight forwards equals the period forward rate on the same curve, so VanillaSwap and OIS floating legs produce identical NPVs. >> >> References >> - Brigo & Mercurio, “Interest Rate Model — Theory and Practice” (Ch. 3 for HW model, tree-based pricing) >> - Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch. 31-32 for short-rate models and trinomial trees) >> >> I hope that helps! >> >> Best, >> Rich >> >> >>> On Mar 8, 2026, at 6:53 AM, Daniel Lobo <dan...@gm... <mailto:dan...@gm...>> wrote: >>> >>> Hi Peter, >>> >>> Thanks for your response. >>> >>> Do you know if there is any online resource available to get guidance >>> on this pricing and if QuantLib has any pipeline to implement this >>> Instrument? >>> >>> BR, >>> >>> On Sun, 8 Mar 2026 at 00:15, Peter Caspers <pca...@gm... <mailto:pca...@gm...>> wrote: >>>> >>>> Hi Daniel, >>>> >>>> I don't think we have this variant of a Bermudan swaption in QuantLib. >>>> >>>> Best >>>> Peter >>>> >>>> >>>> On Sat, 7 Mar 2026 at 09:55, Daniel Lobo <dan...@gm... <mailto:dan...@gm...>> wrote: >>>>> >>>>> Hi, >>>>> >>>>> I need to price a Bermudian type swaption which has multiple maturity >>>>> dates (total number 5) however underlying swap is OIS, which has a >>>>> fixed maturity date. >>>>> >>>>> I found some swaption examples, where underlying swap has only fixed >>>>> maturity term, not fixed maturity date. Therefore in my case, at eah >>>>> exercise date, underlying swap's maturity term is lesser. >>>>> >>>>> Can you please point if there any such quantlib implementation or >>>>> example to price such swaption based on hull white model? >>>>> >>>>> >>>>> _______________________________________________ >>>>> QuantLib-users mailing list >>>>> Qua...@li... <mailto:Qua...@li...> >>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>> >>> >>> _______________________________________________ >>> QuantLib-users mailing list >>> Qua...@li... <mailto:Qua...@li...> >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> |
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From: Ioannis R. <qua...@de...> - 2026-03-09 09:58:38
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As I and Peter wrote earlier, you do not need native OIS support to price a Bermudan OIS option. You can use the QuantLib type VanillaSwaption. It references an underlying ibor swap with a fixed maturity date. If you need an OIS underlying, you can equivalently use a VanillaSwap that references a custom ibor of which the tenor equals the period of the fixed leg of the OIS. Then you will get the exact same price. On 3/9/2026 4:18 AM, Rich Amaya via QuantLib-users wrote: > Hi Peter and Daniel, > > Thanks for the clarification Peter. I’ve opened a GitHub issue to > track adding native OIS support to the FD Bermudan swaption engines. > > Best, > Rich > >> On Mar 8, 2026, at 1:23 PM, Peter Caspers <pca...@gm...> wrote: >> >> Hi Rich and Daniel, >> >> Apologies, I misunderstood the trade terms - I thought we were >> talking about a swaption exercising into an underlying swap with >> constant maturity measured from the respective exercise date! >> >> Thanks for clarifying. >> >> Best >> Peter >> >> On Sun, 8 Mar 2026 at 18:25, Rich Amaya <ric...@ma...> wrote: >> >> Hi Daniel, >> >> As Peter says, QuantLib doesn’t have a Bermudan swaption with an >> OIS underlying. However, you can use a VanillaSwap as a proxy for >> the underlying and price it with the existing Bermudan >> infrastructure. >> >> The existing QuantLib examples are actually the co-terminal case >> you need - a single swap with a fixed maturity date, with >> exercise dates at each fixed coupon accrual start. When exercised >> at a later date, only the remaining coupons contribute to the >> payoff, so the effective swap tenor is shorter while the maturity >> date stays the same. See >> Examples/BermudanSwaption/BermudanSwaption.cpp (line 248 onward) >> and test-suite/bermudanswaption.cpp. >> >> The setup is: create a VanillaSwap with your fixed maturity date, >> build a BermudanExercise from the fixed leg accrual start dates >> (your 5 exercise dates), and price with FdHullWhiteSwaptionEngine. >> >> Under a one-factor Hull-White model with a single forwarding >> curve, this VanillaSwap proxy is exact - the compound of daily >> overnight forwards equals the period forward rate on the same >> curve, so VanillaSwap and OIS floating legs produce identical NPVs. >> >> *_References_* >> - Brigo & Mercurio, “Interest Rate Model — Theory and Practice” >> (Ch. 3 for HW model, tree-based pricing) >> - Hull, “Options, Futures, and Other Derivatives,” 11th ed. (Ch. >> 31-32 for short-rate models and trinomial trees) >> >> I hope that helps! >> >> Best, >> Rich >> >> >>> On Mar 8, 2026, at 6:53 AM, Daniel Lobo >>> <dan...@gm...> wrote: >>> >>> Hi Peter, >>> >>> Thanks for your response. >>> >>> Do you know if there is any online resource available to get >>> guidance >>> on this pricing and if QuantLib has any pipeline to implement this >>> Instrument? >>> >>> BR, >>> >>> On Sun, 8 Mar 2026 at 00:15, Peter Caspers >>> <pca...@gm...> wrote: >>>> >>>> Hi Daniel, >>>> >>>> I don't think we have this variant of a Bermudan swaption in >>>> QuantLib. >>>> >>>> Best >>>> Peter >>>> >>>> >>>> On Sat, 7 Mar 2026 at 09:55, Daniel Lobo >>>> <dan...@gm...> wrote: >>>>> >>>>> Hi, >>>>> >>>>> I need to price a Bermudian type swaption which has multiple >>>>> maturity >>>>> dates (total number 5) however underlying swap is OIS, which has a >>>>> fixed maturity date. >>>>> >>>>> I found some swaption examples, where underlying swap has only >>>>> fixed >>>>> maturity term, not fixed maturity date. Therefore in my case, >>>>> at eah >>>>> exercise date, underlying swap's maturity term is lesser. >>>>> >>>>> Can you please point if there any such quantlib implementation or >>>>> example to price such swaption based on hull white model? >>>>> >>>>> >>>>> _______________________________________________ >>>>> QuantLib-users mailing list >>>>> Qua...@li... >>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>> >>> >>> _______________________________________________ >>> QuantLib-users mailing list >>> Qua...@li... >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users -- This email has been checked for viruses by Avast antivirus software. www.avast.com |
